How do I show that the sigma field generated by two random variables, $(X,Y)$, same as sigma field generated by $(X+Y, Y)$?
sigma field generated by two random variables
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probability-theory
measure-theory
1 Answers
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Following this question, the sigma field generated by $X$ and $Y$ is the minimal sigma field containing sets of the form $\{X Let $x,y\in \mathbb{R}$ be some arbitrary numbers. Sets $\{X Similarly, for arbitrary $z,y\in \mathbb{R}$, we can write $\{X+Y < z\}=\{X Therefore, those sigma fields are equal as each one is a subset of the other.
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0Many thanks for your answer, Blaza. – 2017-01-28